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Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes - MaRDI portal

Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes (Q2448716)

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Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes
scientific article

    Statements

    title
    Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes (English)
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    author
    Hilmar Mai
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    published in
    Bernoulli
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    publication date
    5 May 2014
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    zbMATH Keywords
    Ornstein-Uhlenbeck processes
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    maximum likelihood estimation
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    drift estimator
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    cites work
    Q3694394
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    Q4937701
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    Q3359614
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    Identifiers

    DOI
    10.3150/13-BEJ510
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    Mathematics Subject Classification ID
    62F12
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    60G51
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    60J60
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    zbMATH DE Number
    6291826
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    arXiv ID
    1403.2954
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